David Yao

Columbia University

3022 Broadway

New York, NY 10027

United States

SCHOLARLY PAPERS

11

DOWNLOADS
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Top 33,143

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1,788

SSRN CITATIONS
Rank 26,080

SSRN RANKINGS

Top 26,080

in Total Papers Citations

23

CROSSREF CITATIONS

13

Scholarly Papers (11)

1.

Liability Concentration and Systemic Losses in Financial Networks

Operations Research, Forthcoming
Number of pages: 33 Posted: 05 Jun 2016
Columbia University, The University of Hong Kong and Columbia University
Downloads 365 (100,865)
Citation 9

Abstract:

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systemic risk, financial network, interbank liabilities, majorization

2.

An Optimization View of Financial Systemic Risk Modeling: The Network Effect and the Market Liquidity Effect

Number of pages: 56 Posted: 08 Jul 2014 Last Revised: 29 Sep 2014
Nan Chen, Xin Liu and David Yao
The Chinese University of Hong Kong (CUHK), The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management and Columbia University
Downloads 347 (107,106)
Citation 8

Abstract:

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Systemic risk, contagion, liquidity risk, financial network

3.

The Value of Flexibility From Opaque Selling

Number of pages: 42 Posted: 19 Nov 2019
Department of Industrial Engineering and Operations Research & Data Science Institute, Columbia University, Columbia University and Columbia University - Department of Industrial Engineering and Operations Research & Data Science Institute
Downloads 274 (137,555)
Citation 7

Abstract:

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online retailing, opaque selling, flexibility

4.

A Dynamic Network Model of Interbank Lending — Systemic Risk and Liquidity Provisioning

Mathematics of Operations Research. Forthcoming
Number of pages: 35 Posted: 30 Aug 2017 Last Revised: 21 Jun 2019
Agostino Capponi, Xu Sun and David Yao
Columbia University, University of Florida and Columbia University
Downloads 207 (180,615)
Citation 6

Abstract:

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Dynamic Interbanking Networks, Systemic Risk, Large Networks Asymptotics

5.

Production with Risk Hedging — Optimal Policy and Efficient Frontier

Number of pages: 37 Posted: 06 Dec 2014
Liao Wang and David Yao
HKU and Columbia University
Downloads 167 (218,440)
Citation 3

Abstract:

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operational risk management, quadratic hedging, mean-variance efficient frontier.

6.

Promotion Design with Path Dependent Network Effects

Number of pages: 39 Posted: 23 Mar 2020
Sheng Bi, Chung-Piaw Teo and David Yao
National University of Singapore (NUS), NUS Business School - Department of Decision Sciences and Columbia University
Downloads 142 (249,930)

Abstract:

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promotion design, path dependent network effects, Polya's urn

7.

Justifying Diffusion Approximations for Stochastic Processing Networks Under a Moment Condition

Number of pages: 49 Posted: 29 Sep 2014 Last Revised: 15 Jun 2017
Heng-Qing Ye and David Yao
Hong Kong Polytechnic University and Columbia University
Downloads 94 (334,919)

Abstract:

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stochastic processing network, resource sharing network, multiclass queueing network, diffusion limit, interchange of limits, uniform stability

8.

Production Planning with Shortfall Hedging under Partial Information and Budget Constraint

Number of pages: 49 Posted: 01 Dec 2016 Last Revised: 13 Jun 2017
Liao Wang and David Yao
HKU and Columbia University
Downloads 93 (337,218)

Abstract:

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shortfall hedging, partial information, budget constraint, efficient frontier.

9.

Diffusion Limit of Fair Resource Control -- Stationarity and Interchange of Limits

Number of pages: 60 Posted: 18 Mar 2015
Heng-Qing Ye and David Yao
Hong Kong Polytechnic University and Columbia University
Downloads 92 (339,519)

Abstract:

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stochastic processing network, proportional fair allocation, diffusion limit, stationary distribution, interchange of limits, uniform stability

10.

Production Planning with Risk Hedging under a CVaR Objective

Number of pages: 40 Posted: 08 Jul 2021 Last Revised: 09 Jul 2021
Liao Wang and David Yao
HKU and Columbia University
Downloads 7 (724,907)

Abstract:

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production planning, CVaR, downside risk aversion, optimal hedging

11.

Bed Allocation to Reduce Overflow

Posted: 01 Oct 2014
School of Management, University of Science and Technology of China, National University of Singapore (NUS) - NUS Business School, Singapore Management University - Lee Kong Chian School of Business and Columbia University

Abstract:

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Bed allocation; overflow; queueing models; simulation; data analysis